pandas-market-calendars 4.1.3__py3-none-any.whl → 4.2.0__py3-none-any.whl

pandas_market_calendars/exchange_calendar_cme_globex_energy_and_metals.py

@@ -1,146 +0,0 @@
-#
-# Copyright 2016 Quantopian, Inc.
-#
-# Licensed under the Apache License, Version 2.0 (the "License");
-# you may not use this file except in compliance with the License.
-# You may obtain a copy of the License at
-#
-#     http://www.apache.org/licenses/LICENSE-2.0
-#
-# Unless required by applicable law or agreed to in writing, software
-# distributed under the License is distributed on an "AS IS" BASIS,
-# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
-# See the License for the specific language governing permissions and
-# limitations under the License.
-
-from abc import ABC, abstractmethod
-from .exchange_calendar_cme_globex_base import CMEGlobexBaseExchangeCalendar
-
-from datetime import time
-from itertools import chain
-
-import pandas as pd
-from pandas import Timestamp
-from pandas.tseries.holiday import AbstractHolidayCalendar #, GoodFriday, USLaborDay, USPresidentsDay, USThanksgivingDay
-from pytz import timezone
-
-#from .holidays_us import (Christmas, ChristmasEveBefore1993, ChristmasEveInOrAfter1993, USBlackFridayInOrAfter1993,
-#                          USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay, USJuneteenthAfter2022,
-#                          USNationalDaysofMourning, USNewYearsDay)
-
-from .holidays_cme_globex import (  USNewYearsDay,
-                                    USMartinLutherKingJrFrom2022, USMartinLutherKingJrPre2022, USNewYearsDay,
-                                    USPresidentsDayFrom2022, USPresidentsDayPre2022, 
-                                    GoodFriday, 
-                                    USMemorialDayFrom2022, USMemorialDayPre2022, 
-                                    USJuneteenthFrom2022, 
-                                    USIndependenceDayFrom2022, USIndependenceDayPre2022, 
-                                    USLaborDay,
-                                    USThanksgivingDayFrom2022, USThanksgivingDayPre2022, FridayAfterThanksgiving,
-                                    ChristmasCME)                          
-from .market_calendar import MarketCalendar
-
-
-
-
-class CMEGlobexEnergyAndMetalsExchangeCalendar(CMEGlobexBaseExchangeCalendar):
-    """
-    Exchange calendar for CME for Energy and Metals products
-
-    Both follow the same trading/holiday schedule
-
-    NOT IMPLEMENTED: Dubai Mercantile Exchange (DME) follows this schedule but with holiday exceptions.
-
-    Energy Products:
-      Crude and Refined: https://www.cmegroup.com/trading/energy/crude-and-refined-products.html 
-      - HO NY Harbor ULSD Futures
-      - CL Crude Oil Futures
-      - RB RBOB Gasoline Futures
-      - MCL Micro WTI Crude Oil Futures
-      Natural Gas
-      - NG Henry Hub Natural Gas Futures
-      - TTF Dutch TTF Natural Gas Calendar Month Futures
-      - NN Henry Hub Natural Gas Last Day Financial Futures
-      Voluntary Carbon Emissions Offset Futures
-      - CGO CBL Core Global Emmissions Offset (C-GEO) Futures
-      - NGO CBL Nature-based Global Emissionns Offset Futures
-      - GEO CBL Global Emissions Offset Futures
-
-    Metals Products: https://www.cmegroup.com/markets/metals.html 
-      Precious Metals
-      - GC Gold Futures
-      - SI Silver Futures
-      - PL Platinum Futures
-      Base Metals
-      - HG Copper Futures
-      - ALI Aluminum Futures
-      - QC E-mini Copper Futures
-      Ferrous Metals
-      - HRC U.S. Midwest Domestic Hot-Rolled Coil Steel (CRU) Index Futures
-      - BUS U.S. Midwest Busheling Ferrous Scrap (AMM) Futures
-      - TIO Iron Ore 62% Fe, CFR China (Platts) Futures
-
-      Sample GLOBEX Trading Times
-      https://www.cmegroup.com/markets/energy/crude-oil/light-sweet-crude.contractSpecs.html
-      Sunday - Friday: 5:00pm - 4:00 pm CT 
-
-      Calendar: http://www.cmegroup.com/tools-information/holiday-calendar.html
-     """
-
-    aliases = [ 'CMEGlobex_EnergyAndMetals',
-                'CMEGlobex_Energy',
-                   'CMEGlobex_CrudeAndRefined', 'CMEGlobex_NYHarbor', 'CMEGlobex_HO', 'HO', 'CMEGlobex_Crude', 'CMEGlobex_CL', 'CL', 'CMEGlobex_Gas', 'CMEGlobex_RB', 'RB', 'CMEGlobex_MicroCrude', 'CMEGlobex_MCL', 'MCL',
-                   'CMEGlobex_NatGas',          'CMEGlobex_NG', 'NG', 'CMEGlobex_Dutch_NatGas', 'CMEGlobex_TTF', 'TTF', 'CMEGlobex_LastDay_NatGas', 'CMEGlobex_NN', 'NN',
-                   'CMEGlobex_CarbonOffset',     'CMEGlobex_CGO', 'CGO', 'C-GEO', 'CMEGlobex_NGO', 'NGO', 'CMEGlobex_GEO', 'GEO',
-                'CMEGlobex_Metals',
-                    'CMEGlobex_PreciousMetals', 'CMEGlobex_Gold', 'CMEGlobex_GC', 'GC', 'CMEGlobex_Silver' 'CMEGlobex_SI', 'SI', 'CMEGlobex_Platinum', 'CMEGlobex_PL', 'PL',
-                    'CMEGlobex_BaseMetals',     'CMEGlobex_Copper', 'CMEGlobex_HG', 'HG', 'CMEGlobex_Aluminum', 'CMEGlobex_ALI', 'ALI', 'CMEGlobex_Copper', 'CMEGlobex_QC', 'QC',
-                    'CMEGlobex_FerrousMetals',  'CMEGlobex_HRC', 'HRC', 'CMEGlobex_BUS', 'BUS', 'CMEGlobex_TIO', 'TIO' ]
-
-    regular_market_times = {
-        "market_open": ((None, time(17), -1),), #Sunday offset. Central Timezone (CT)
-        "market_close": ((None, time(16)),)
-    }
-
-    @property
-    def name(self):
-        return "CMEGlobex_EnergyAndMetals"
-
-
-    @property
-    def regular_holidays(self):
-        return AbstractHolidayCalendar(rules=[
-            USNewYearsDay,
-            GoodFriday,
-            ChristmasCME,            
-         ])
-
-    # @property
-    # def adhoc_holidays(self):
-    #     return USNationalDaysofMourning
-
-    @property
-    def special_closes(self):
-        return [
-            (time(12, tzinfo=timezone('America/Chicago')), AbstractHolidayCalendar(rules=[
-                USMartinLutherKingJrPre2022,
-                USPresidentsDayPre2022,
-                USMemorialDayPre2022,
-                USIndependenceDayPre2022,
-                USLaborDay,
-                USThanksgivingDayPre2022,
-             ])),           
-            (time(12, 45, tzinfo=timezone('America/Chicago')), AbstractHolidayCalendar(rules=[
-                 FridayAfterThanksgiving,
-             ])),           
-             (time(13, 30, tzinfo=timezone('America/Chicago')), AbstractHolidayCalendar(rules=[
-                USMartinLutherKingJrFrom2022,
-                USPresidentsDayFrom2022,
-                USMemorialDayFrom2022,
-                USJuneteenthFrom2022,
-                USIndependenceDayFrom2022,
-                USThanksgivingDayFrom2022,
-             ])),
-         ]
-
-

pandas_market_calendars/exchange_calendar_cme_globex_equities.py

@@ -1,104 +0,0 @@
-from .exchange_calendar_cme_globex_base import CMEGlobexBaseExchangeCalendar
-
-from datetime import time
-from pandas.tseries.holiday import AbstractHolidayCalendar
-from pytz import timezone
-
-from pandas_market_calendars.holidays_cme import (
-    USMartinLutherKingJrAfter1998Before2015,
-    USMartinLutherKingJrAfter2015,
-    USPresidentsDayBefore2015,
-    USPresidentsDayAfter2015,
-    GoodFridayBefore2021NotEarlyClose,
-    GoodFridayAfter2021,
-    GoodFriday2010,
-    GoodFriday2012,
-    GoodFriday2015,
-    GoodFriday2021,
-    USMemorialDay2013AndPrior,
-    USMemorialDayAfter2013,
-    USIndependenceDayBefore2022PreviousDay,
-    USIndependenceDayBefore2014,
-    USIndependenceDayAfter2014,
-    USLaborDayStarting1887Before2014,
-    USLaborDayStarting1887After2014,
-    USThanksgivingBefore2014,
-    USThanksgivingAfter2014,
-    USThanksgivingFriday,
-)
-from pandas_market_calendars.holidays_us import (
-    USNewYearsDay,
-    ChristmasEveInOrAfter1993,
-    Christmas,
-    USJuneteenthAfter2022
-)
-
-class CMEGlobexEquitiesExchangeCalendar(CMEGlobexBaseExchangeCalendar):
-
-    aliases = ["CME Globex Equity"]
-
-    regular_market_times = {
-        "market_open": ((None, time(17), -1),), # offset by -1 day
-        "market_close": ((None, time(16)),),
-    }
-
-    @property
-    def tz(self): return timezone("America/Chicago")
-
-    @property
-    def name(self):
-        """
-        Name of the market
-
-        :return: string name
-        """
-        return "CME Globex Equities"
-
-    @property
-    def regular_holidays(self):
-        return AbstractHolidayCalendar(rules=[
-            USNewYearsDay,
-            GoodFridayBefore2021NotEarlyClose,
-            GoodFridayAfter2021,
-            Christmas,
-        ])
-
-    @property
-    def special_closes(self):
-        # Source https://www.cmegroup.com/tools-information/holiday-calendar.html
-        return [
-            (time(10, 30), AbstractHolidayCalendar(rules=[
-                USMartinLutherKingJrAfter1998Before2015,
-                USPresidentsDayBefore2015,
-                USMemorialDay2013AndPrior,
-                USIndependenceDayBefore2014,
-                USLaborDayStarting1887Before2014,
-                USThanksgivingBefore2014,
-            ])),
-
-            (time(12,15), AbstractHolidayCalendar(rules= [
-                USIndependenceDayBefore2022PreviousDay,
-                USThanksgivingFriday,
-                ChristmasEveInOrAfter1993,
-            ])),
-
-            (time(12), AbstractHolidayCalendar(rules=[
-                USMartinLutherKingJrAfter2015,
-                USPresidentsDayAfter2015,
-                USMemorialDayAfter2013,
-                USIndependenceDayAfter2014,
-                USLaborDayStarting1887After2014,
-                USThanksgivingAfter2014,
-                USJuneteenthAfter2022
-
-            ])),
-            (time(8,15), AbstractHolidayCalendar(rules=[
-                GoodFriday2010,
-                GoodFriday2012,
-                GoodFriday2015,
-                GoodFriday2021,
-            ])),
-
-        ]
-
-

pandas_market_calendars/exchange_calendar_cme_globex_fixed_income.py

@@ -1,114 +0,0 @@
-from .exchange_calendar_cme_globex_base import CMEGlobexBaseExchangeCalendar
-
-from datetime import time
-from pandas.tseries.holiday import AbstractHolidayCalendar
-from pytz import timezone
-
-from pandas_market_calendars.holidays_cme import (
-    USMartinLutherKingJrAfter1998Before2015,
-    USMartinLutherKingJrAfter1998Before2016FridayBefore,
-    USMartinLutherKingJrAfter2015,
-    USPresidentsDayBefore2016FridayBefore,
-    USPresidentsDayBefore2015,
-    USPresidentsDayAfter2015,
-    GoodFridayBefore2021NotEarlyClose,
-    GoodFridayAfter2021,
-    GoodFriday2009,
-    GoodFriday2010,
-    GoodFriday2012,
-    GoodFriday2015,
-    GoodFriday2021,
-    USMemorialDay2013AndPrior,
-    USMemorialDayAfter2013,
-    USMemorialDay2015AndPriorFridayBefore,
-    USIndependenceDayBefore2014,
-    USIndependenceDayAfter2014,
-    USLaborDayStarting1887Before2014,
-    USLaborDayStarting1887Before2015FridayBefore,
-    USLaborDayStarting1887After2014,
-    USThanksgivingBefore2014,
-    USThanksgivingAfter2014,
-    USThanksgivingFriday,
-)
-from pandas_market_calendars.holidays_us import (
-    USNewYearsDay,
-    ChristmasEveInOrAfter1993,
-    Christmas,
-    USJuneteenthAfter2022
-)
-
-
-class CMEGlobexFixedIncomeCalendar(CMEGlobexBaseExchangeCalendar):
-    aliases = ["CME Globex Fixed Income", "CME Globex Interest Rate Products"]
-
-    regular_market_times = {
-        "market_open": ((None, time(18), -1),),
-        "market_close": ((None, time(17)),),
-    }
-
-    """ 
-    Not yet implemented:
-        Christmas/New_Years
-            5am special open for a couple years (see tests)
-        
-        regular market_open/market_close changed from 17/16 to 18/17?
-    """
-
-    @property
-    def name(self): return "CME Globex Fixed Income"
-
-    @property
-    def regular_holidays(self):
-        return AbstractHolidayCalendar(rules=[
-            USNewYearsDay,
-            GoodFridayBefore2021NotEarlyClose,
-            GoodFridayAfter2021,
-            Christmas,
-        ])
-
-    @property
-    def special_closes_adhoc(self):
-        return [(time(15,15), ["2010-07-02", "2011-07-01"]),
-                (time(12,15), ["2010-12-31"])]
-
-    @property
-    def special_closes(self):
-        # Source https://www.cmegroup.com/tools-information/holiday-calendar.html
-        return [
-            (time(12), AbstractHolidayCalendar(rules=[
-                USMartinLutherKingJrAfter1998Before2015,
-                USMartinLutherKingJrAfter2015,
-                USPresidentsDayBefore2015,
-                USPresidentsDayAfter2015,
-                USMemorialDay2013AndPrior,
-                USMemorialDayAfter2013,
-                USIndependenceDayBefore2014,
-                USIndependenceDayAfter2014,
-                USLaborDayStarting1887Before2014,
-                USLaborDayStarting1887After2014,
-                USThanksgivingBefore2014,
-                USThanksgivingAfter2014,
-                USJuneteenthAfter2022,
-            ])),
-
-            (time(15,15), AbstractHolidayCalendar(rules=[
-                USMartinLutherKingJrAfter1998Before2016FridayBefore,
-                USPresidentsDayBefore2016FridayBefore,
-                GoodFriday2009,
-                USMemorialDay2015AndPriorFridayBefore,
-                USLaborDayStarting1887Before2015FridayBefore
-            ])),
-
-            (time(12,15), AbstractHolidayCalendar(rules= [
-                USThanksgivingFriday,
-                ChristmasEveInOrAfter1993,
-            ])),
-
-            (time(10,15), AbstractHolidayCalendar(rules=[
-                GoodFriday2010,
-                GoodFriday2012,
-                GoodFriday2015,
-                GoodFriday2021,
-            ])),
-
-        ]

pandas_market_calendars/exchange_calendar_cme_globex_fx.py

@@ -1,78 +0,0 @@
-from datetime import time
-
-from pandas.tseries.holiday import AbstractHolidayCalendar
-
-from pandas_market_calendars.exchange_calendar_cme_globex_base import CMEGlobexBaseExchangeCalendar
-from pandas_market_calendars.holidays_cme import (
-    USMartinLutherKingJrAfter1998Before2022,
-    USPresidentsDayBefore2022,
-    GoodFridayBefore2021,
-    GoodFriday2021,
-    GoodFridayAfter2021,
-    USMemorialDay2021AndPrior,
-    USIndependenceDayBefore2022,
-    USLaborDayStarting1887Before2022,
-    USThanksgivingBefore2022,
-    USThanksgivingFriday,
-)
-from pandas_market_calendars.holidays_us import (
-    USNewYearsDay,
-    ChristmasEveInOrAfter1993,
-    Christmas,
-)
-
-_1015 = time(10, 15)
-_1200 = time(12, 0)
-_1215 = time(12, 15)
-
-
-class CMEGlobexFXExchangeCalendar(CMEGlobexBaseExchangeCalendar):
-    aliases = ['CME_Currency']
-
-    # Using CME Globex trading times eg AUD/USD, EUR/GBP, and BRL/USD
-    # https://www.cmegroup.com/markets/fx/g10/australian-dollar.contractSpecs.html
-    # https://www.cmegroup.com/markets/fx/cross-rates/euro-fx-british-pound.contractSpecs.html
-    # https://www.cmegroup.com/markets/fx/emerging-market/brazilian-real.contractSpecs.html
-    # CME "NZD spot" has its own holiday schedule; this is a niche product (via "FX Link") and is not handled in this
-    # class; however, its regular hours follow the same schedule (see
-    # https://www.cmegroup.com/trading/fx/files/fx-product-guide-2021-us.pdf)
-    regular_market_times = {
-        "market_open": ((None, time(17), -1),),  # offset by -1 day
-        "market_close": ((None, time(16, 00)),)
-    }
-
-    aliases = ['CMEGlobex_FX', 'CME_FX', 'CME_Currency']
-
-    @property
-    def name(self):
-        return "CMEGlobex_FX"
-
-    @property
-    def regular_holidays(self):
-        return AbstractHolidayCalendar(rules=[
-            USNewYearsDay,
-            GoodFridayBefore2021,
-            GoodFridayAfter2021,
-            Christmas,
-        ])
-
-    @property
-    def special_closes(self):
-        """
-        Accurate 2020-2022 inclusive
-        TODO - enhance/verify prior to 2020
-        TODO - Add 2023+ once known
-        """
-        # Source https://www.cmegroup.com/tools-information/holiday-calendar.html
-        return [
-            (_1015, AbstractHolidayCalendar(rules=[GoodFriday2021])),
-            (_1200, AbstractHolidayCalendar(rules=[
-                USMartinLutherKingJrAfter1998Before2022,
-                USPresidentsDayBefore2022,
-                USMemorialDay2021AndPrior,
-                USIndependenceDayBefore2022,
-                USLaborDayStarting1887Before2022,
-                USThanksgivingBefore2022,
-            ])),
-            (_1215, AbstractHolidayCalendar(rules=[USThanksgivingFriday, ChristmasEveInOrAfter1993])),
-        ]

pandas_market_calendars/exchange_calendar_eurex.py

@@ -1,119 +0,0 @@
-#
-# kewlfft
-#
-
-from datetime import time
-
-from pandas.tseries.holiday import AbstractHolidayCalendar, EasterMonday, GoodFriday, Holiday, previous_friday
-from pytz import timezone
-
-from .market_calendar import (FRIDAY, MONDAY, MarketCalendar, THURSDAY, TUESDAY, WEDNESDAY)
-
-# New Year's Eve
-EUREXNewYearsEve = Holiday(
-    "New Year's Eve",
-    month=12,
-    day=31,
-    observance=previous_friday,
-)
-# New Year's Day
-EUREXNewYearsDay = Holiday(
-    "New Year's Day",
-    month=1,
-    day=1,
-    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY, FRIDAY),
-)
-# Early May bank holiday
-MayBank = Holiday(
-    "Early May Bank Holiday",
-    month=5,
-    day=1,
-    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY, FRIDAY),
-)
-# German National Holiday (Tag der Deutschen Einheit)
-GermanNationalDay = Holiday(
-    'Tag der Deutschen Einheit',
-    month=10,
-    day=3,
-    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY, FRIDAY),
-)
-# Christmas Eve
-ChristmasEve = Holiday(
-    'Christmas Eve',
-    month=12,
-    day=24,
-    observance=previous_friday,
-)
-# Christmas
-Christmas = Holiday(
-    "Christmas",
-    month=12,
-    day=25,
-    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY, FRIDAY),
-)
-# If christmas day is Saturday Monday 27th is a holiday
-# If christmas day is sunday the Tuesday 27th is a holiday
-WeekendChristmas = Holiday(
-    "Weekend Christmas",
-    month=12,
-    day=27,
-    days_of_week=(MONDAY, TUESDAY),
-)
-# Boxing day
-BoxingDay = Holiday(
-    "Boxing Day",
-    month=12,
-    day=26,
-)
-# If boxing day is saturday then Monday 28th is a holiday
-# If boxing day is sunday then Tuesday 28th is a holiday
-WeekendBoxingDay = Holiday(
-    "Weekend Boxing Day",
-    month=12,
-    day=28,
-    days_of_week=(MONDAY, TUESDAY),
-)
-
-
-class EUREXExchangeCalendar(MarketCalendar):
-    """
-    Exchange calendar for EUREX
-
-    """
-    aliases = ['EUREX']
-    regular_market_times = {
-        "market_open": ((None, time(9)),),
-        "market_close": ((None, time(17,30)),)
-    }
-
-    @property
-    def name(self):
-        return "EUREX"
-
-    @property
-    def tz(self):
-        return timezone('Europe/Berlin')
-
-    @property
-    def regular_holidays(self):
-        return AbstractHolidayCalendar(rules=[
-            EUREXNewYearsDay,
-            GoodFriday,
-            EasterMonday,
-            MayBank,
-            GermanNationalDay,
-            Christmas,
-            WeekendChristmas,
-            BoxingDay,
-            WeekendBoxingDay
-        ])
-
-    @property
-    def special_closes(self):
-        return [(
-            time(12, 30),
-            AbstractHolidayCalendar(rules=[
-                ChristmasEve,
-                EUREXNewYearsEve,
-            ])
-        )]